Category: BANKING / FINANCE - actuview - the international streaming platform for actuaries

YAI Connect: Development of an Early Warning System (EWS) for Banking Credit Risk

Fri, 10 Apr 2026 11:38:57 +0000

This master’s thesis presents the development of an Early Warning System (EWS) for banking credit risk, focused on the one-year Probability of Default (PD) within the Basel III framework. Using a synthetic retail credit portfolio and a Python-based implementation, several machine learning models are compared to assess their predictive power and robustness with respect to the nature and complexity of the problem.The analysis highlights the strong performance of boosting techniques in capturing non-linear relationships and complex risk patterns. Beyond model accuracy, special attention is given to variable behavior across risk ranges, model interpretability, and threshold calibration, all of which are critical for practical risk management applications.The results confirm that advanced AI-driven EWS can complement traditional credit risk frameworks by providing timely, interpretable, and operationally relevant signals. The study emphasizes a prudent integration of machine learning into regulatory-aligned decision processes, not only from a quantitative perspective but also from a qualitative one, as the proposed EWS incorporates both approaches, supporting earlier intervention and improved financial stability.

Sustainability-Linked Debt, Capital Structure, and Endogenous Default

Mon, 30 Mar 2026 09:28:38 +0000

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We develop a structural credit model of perpetual debt financing in which firms issue sustainability-linked bonds (SLBs) whose coupons step up via penalty payments when predefined sustainability targets are missed. Focusing on firms that aim to reduce emissions, we show that SLBs operate through two distinct channels: the firm can choose a lower endogenous bankruptcy threshold while holding equity value constant, or it can attain a significantly higher total firm value. In the first channel—when the bankruptcy threshold is set lower—SLBs reshape default incentives, extend expected firm lifetime, and can raise debt capacity without proportionally increasing distress costs. As a supplementary extension, we incorporate carbon taxes and subsidies to reflect policy-driven effects on cash flows and incentives, without changing the central mechanism through which SLBs affect default and leverage choices.

Impact de la conjoncture économique sur l'activité d'un assureur-crédit

Wed, 25 Feb 2026 05:30:49 +0000

L'environnement économique actuel, marqué par une forte inflation, des taux d’intérêts qui, après avoir été très bas pendant plusieurs années, ont atteint un niveau plus vu depuis plus de 10 ans, et des conflits géopolitiques, ainsi que le rattrapage du « retard de défaillances » observé pendant la période Covid, met aujourd'hui à l’épreuve les assureurs-crédit. Les méthodes actuarielles traditionnellement utilisées pour prédire la survenance des défauts se basent principalement sur des scores affectés aux entreprises, censés refléter la solidité financière de celles-ci. Cependant, ces modèles peinent à intégrer en temps réel les évolutions de l’environnement économique. Dans ce mémoire, nous proposons une modélisation de la fréquence des défauts par secteur d’activité en utilisant les processus de Hawkes, permettant de modéliser des effets de contagion tant intra-sectoriel qu’inter-sectoriels. Après une présentation de l’assurance-crédit et de ses spécificités, nos travaux se concentreront sur la capacité des processus de Hawkes à modéliser la structure de dépendance des défaillances entre secteurs d’activité. Nous développerons ensuite un modèle utilisant ces processus pour modéliser les pertes attendues d'un assureur-crédit fictif. Enfin, à l’aide du modèle développé, nous étudierons l’impact de la conjoncture économique sur les pertes de l’assureur en fonction de la répartition de son activité dans les différents secteurs via divers scénarios économiques. Une attention particulière sera portée sur la capacité du modèle à évaluer l'ampleur de l'effet de rattrapage de la crise Covid sur le nombre de défaillances attendues d'ici la fin de l'année. Les résultats obtenus permettront de mettre en évidence l’intérêt de la prise en compte des effets de contagion sectoriels dans un cadre de gestion des risques.

More than just Returns

Tue, 17 Feb 2026 11:56:18 +0000

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Quantifying South African Sovereign Credit Risk: an Arbitrage-Free Domestic Credit Spread Estimation for South African Government Bonds

Fri, 13 Feb 2026 09:42:16 +0000

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Finance & Investments 2026 Outlook

Thu, 05 Feb 2026 14:52:02 +0000

What are the main economic drivers that will shape investment outcomes in 2026? Join us for a timely and thought-provoking discussion exploring how global political shifts are influencing global economies and asset allocation decisions. Jessica Shuman, Senior Investment Specialist will present on the economic environment and implications for investment markets. Jessica will cover the geo-political environment, what is priced into markets, what leading indicators may mean in the coming months, growth dynamics and global monetary policies impact on rates and FX markets. We will also have a presentation from Amber Gleeson, Investment Specialist and Dean Cook, Multi-Asset Portfolio Manager, Aviva Investors who will present a 2026 Outlook and the big questions investors are asking. Peter and Dean will present insights into what lies ahead for investors in 2026. What are the main themes and how these themes may play out for investors during the year.

DAVvorOrt | Wirtschaftsausblick 2026 – Ein Blick auf die Weltkugel

Fri, 16 Jan 2026 12:52:48 +0000

Die Präsentation liefert eine prägnante Einordnung der globalen Wirtschaftslage und beleuchtet zentrale Trends, die das kommende Jahr prägen könnten. Der Vortrag verbindet Rückschau, Marktinterpretation und Zukunftsperspektiven zu einem klaren, verständlichen Gesamtbild.

Balancing Growth and Risk in the Fast-Changing SEA Insurance Market

Mon, 12 Jan 2026 07:42:33 +0000

Explore strategies for balancing growth and risk in Southeast Asia’s fast-changing insurance market. This session highlights economic trends, mortality experience deterioration, and emerging challenges such as overdiagnosis and shifting customer behaviors. Learn from regional case studies in Thailand, Malaysia, and Vietnam, and discover how early warning systems and proactive risk management can help insurers navigate uncertainty while capitalizing on growth opportunities in one of the world’s most dynamic markets.

Capital Optimization in the Face of Uncertainty

Fri, 09 Jan 2026 13:29:34 +0000

Explore how insurers can transform capital from a compliance requirement into a strategic engine for growth and resilience. This session covers evolving capital frameworks, external pressures, and structured methodologies for dynamic allocation. Learn how actuaries can drive capital optimisation through ALM strategies, product design, reinsurance structures, and operational excellence. Discover metrics like ROC and RAROC that link risk and return, and see case studies on unlocking hidden capital and improving shareholder value.

Capital Management Reinsurance Solutions: Is Asset-Intensive Taking Over?

Fri, 09 Jan 2026 11:10:37 +0000

Uncover how asset-intensive reinsurance (AIR) is reshaping capital management strategies for life insurers. This session explains the operating environment, benefits of AIR in optimizing balance sheets, and its growing adoption across APAC. Learn about pricing levers, counterparty risk management, and supervisory perspectives, as well as alternative structured reinsurance solutions for capital relief. Gain insights into how AIR can enhance capital efficiency, reduce volatility, and support new business growth.

How AI can manage insurance portfolios

Fri, 09 Jan 2026 10:31:30 +0000

Explore how Scenario-Based Machine Learning (SBML) is revolutionizing portfolio optimization in an uncertain world. This session explains the limitations of traditional mean-variance approaches and introduces SBML as a hybrid method combining stochastic scenario analysis with machine learning efficiency. Learn how SBML optimizes for complex objectives like liquidity risk, solvency capital requirements, and pension funded ratios, while maintaining human oversight and robust decision frameworks.

How to evaluate the shareholder's value of insurance company under IFRS17?

Fri, 09 Jan 2026 10:01:39 +0000

Dive into the complexities of evaluating shareholder value under IFRS 17 and K-ICS. This session explores whether Contractual Service Margin (CSM) truly represents shareholder value, the limitations of IFRS equity, and why Embedded Value (EV) approaches remain critical. Learn about market expectations, dividend implications, and proposals for a new Free Cash Embedded Value (FCEV) framework to better reflect distributable earnings and long-term capital management.

Dynamic Fixed Income Bond Ladders with Multiple Optimal Decision Making Under Uncertainty

Fri, 09 Jan 2026 09:44:02 +0000

Explore how dynamic bond ladder strategies can outperform traditional fixed-income approaches in uncertain interest rate environments. This session introduces a framework for multiple optimal decision-making under uncertainty, leveraging yield curve modeling, Monte Carlo simulations, and optimal stopping rules. Learn how adaptive strategies enhance portfolio stability, reduce risk, and improve capital efficiency compared to classical bond ladders.

Value for Money: EIOPA's Methodology and Its Consequences

Mon, 08 Dec 2025 08:43:30 +0000

EIOPA published its methodology on Value for Money (VfM) benchmarks in relation to unit-linked (UL) and hybrid insurance products.
For each product cluster based on a list of indicators covering costs and returns the methodology defines VfM indicators for calculating benchmarks.
The objectives of the benchmarks are primarily to assist national competent authorities (NCAs) in identifying products with higher VfM risks and eventually to allow comparability so that insurance product manufacturers can determine if their products will offer value.
The aim of the presentation is to summarize the methodology and current developments on this topic. We will also briefly outline the guidance notice of the German regulator BaFin, which describes how BaFin applies the tools developed by EIOPA.

DAVvorOrt | Weltwirtschaftlicher Ausblick - Chancen und Risiken

Tue, 02 Dec 2025 15:42:47 +0000

Dieses Video beleuchtet die Auswirkungen der US-Wahlen auf die Weltwirtschaft, die erwartete globale Wachstumsdynamik bis 2025, divergierende Inflationstrends zwischen den USA und Europa sowie die Perspektiven der Geldpolitik und Zinssätze. Ein kompakter Überblick über Risiken, Chancen und makroökonomische Entwicklungen für die kommenden Jahre.

DAVvorOrt | Langfristige Investmentstrategien – Aspekte und ein neuer Ansatz

Fri, 14 Nov 2025 11:36:06 +0000

Der Vortrag beschäftigt sich damit, wie langfristige Investmentstrategien aufgebaut sind und warum das wachstumsoptimale Portfolio neue Perspektiven für Anleger eröffnet.

Ralf Korn erklärt die Grundlagen langfristiger Investments und beleuchtet die Bedeutung der Rentenphase in der Altersvorsorge. Darüber hinaus wird ein innovativer Ansatz vorgestellt, der nachhaltige Anlagestrategien ermöglicht. Zentrale Themen sinddie Berechnung werterhaltender Strategien, die Optimierung des Konsums und ein Benchmark-Ansatz, der präzise Prognosen für die langfristige Finanzmarktentwicklung erlaubt.

Anhand praktischer Beispiele wird gezeigt, wie diese Methoden in der Altersvorsorge und Vermögensplanung angewendet werden können.

Aligning Finance with Climate Goals

Thu, 16 Oct 2025 13:16:18 +0000

Aligning finance with climate policy goals is crucial for achieving net-zero greenhouse gas emissions and enhancing resilience to climate change. Policymaking and investment decisions aimed at such alignment must be informed by robust assessments.This webinar will present the best available evidence on three core questions:

How is the climate alignment of finance assessed?
What do we know about current financial flows and stocks?
What evidence exists on the role of financial sector policies and actions?

Towards Interactive and Transparent Actuarial Modelling

Wed, 24 Sep 2025 14:35:26 +0000

This webinar will introduce calculang, a language for calculations. With actuarial examples like the Actuarial Playground, demos using calculang will show: - Interactive visualisation and instant feedback to explore, interpret and develop actuarial models- Modular model composition to structure and maintain models - Integration with the cloud and on-demand and communicable audit trailsThe session will conclude with reflections about applying calculang to actuarial problems today, and its wider scope to aid harmonization and transparency in models

DAVvorOrt | Too big to fail? Was uns zufällige Netzwerke über Finanzkrisen sagen

Thu, 11 Sep 2025 13:37:23 +0000

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ESG Risk – Learnings from the Banks

Thu, 28 Aug 2025 08:22:51 +0000

As global stakeholders intensify their focus on environmental, social, and governance (ESG) performance, financial institutions are emerging as both catalysts and case studies in the ESG transition journey. This webinar, "ESG Risk: Learnings from the Banks", explores how leading banks have navigated the complex shift from ESG intention to execution. Drawing on real-world strategies, governance structures, and disclosure practices, we will unpack key lessons from the sector—ranging from integrating ESG risk into credit assessment and capital allocation to tackling data gaps and aligning with regulatory frameworks like the ISSB and EBA Guidelines. Join us to uncover what the banks have done right, where challenges remain, and what these insights mean for your organization’s ESG roadmap.

Tradition Meets Innovation: Parenthood Reimagined

Fri, 08 Aug 2025 09:43:54 +0000

Victoria Bruns
PwC Germany

Women take significantly more parental leave than men. There are many reasons for this – from cultural expectations to career concerns – but one key factor is financial. That’s where the Future Parenthood Insurance comes in. This innovative product is designed to reflect the diversity of modern families and careers. It stands out through its high flexibility and a wide range of options: from tailored benefit levels and payout periods to reinvestment features and extended coverage beyond public systems. It directly addresses the financial gap that often prevents the higher-earning partner – typically the father – from taking more time off. By doing so, it supports a more balanced approach to caregiving.

In short: it empowers families to share responsibilities more fairly – not by pressure, but by enabling real choice through financial security. This is how actuaries can drive social impact: by combining tradition, diversity, and innovation in one powerful.

Architects of Capital for a Better World

Fri, 08 Aug 2025 06:49:40 +0000

This video explores the role of actuaries in influencing how trillions of dollars are invested through pension and insurance systems. While the world faces a $4.2 trillion annual gap to achieve the Sustainable Development Goals, vast pools of long-term capital remain misaligned with social and environmental priorities. Actuaries design the frameworks that govern these funds. We set the assumptions that define risk, return, and prudence. Through asset-liability modelling, capital adequacy tests, and solvency regulations, we help determine whether capital flows into fossil fuels or clean energy, short-term debt or resilient infrastructure. The video makes the case for a broader interpretation of fiduciary duty, one that considers intergenerational fairness and systemic resilience. It calls on actuaries to use their influence not only to protect balance sheets, but to shape a financial system that serves both people and planet. This is a technical profession, but the impact of our work is deeply human. The future of finance is still being written. Actuaries have a seat at the table, and a responsibility to help decide what that future looks like.

Les données ESG dans la gestion de portefeuilles

Wed, 30 Jul 2025 14:04:40 +0000

Depuis les Accords de Paris, tous les secteurs de l’économie ont été amenés à intégrer les enjeux environnementaux dans leurs opérations. Cette évolution nécessite de mesurer ou d’estimer comment les entreprises contribuent au changement climatique ou à des phénomènes qui y contribuent eux-mêmes.
Les données climatiques, encore en développement, posent de nombreux défis quant à leur intégration dans la gestion des portefeuilles et les stratégies des investisseurs. Le Groupe de travail sur l'intégration des critères ESG dans l'allocation d'actifs a donc organisé trois ateliers avec des fournisseurs de données ESG, en mettant particulièrement l'accent sur le climat.
Cette présentation vise à comparer les offres des principaux acteurs et à dresser un état des lieux des engagements en matière de transition écologique et énergétique et des indicateurs analysés par les institutions financières, tels que l'intégration des scopes, la VaR climatique ou la température des portefeuilles.

Stripping the Swiss Discount Curve Using Kernel Ridge Regression (Gauss Prize 2024)

Fri, 13 Jun 2025 14:36:13 +0000

Der GAUSS Hauptpreis des Jahres 2024 ging an Nicolas Camenzind und Prof. Dr. Damir Filipović für ihre im European Actuarial Journal veröffentlichte Arbeit „Stripping the Swiss Discount Curve Using Kernel Ridge Regression“. Der Artikel liefert einen innovativen Beitrag zur Modellierung von Diskontierungskurven in der Schweiz und verbindet fortgeschrittene maschinelle Lernverfahren mit aktuarieller Methodik.
„Die Arbeit ist eine mustergültige Kombination von mathematischer Exaktheit bei der Präsentation der zugrunde liegenden Theorie und tiefem Verständnis des Anwendungsproblems bei der Kalibrierung der Schweizer Zinsstrukturkurve. Gleichzeitig zeigt sie eindrucksvoll den Vorteil der Verwendung des Machine Learning Verfahrens der Ridge Regression gegenüber einer einfachen linearen Regression auf“, so die Preisjury.

Funds Industry in Ireland & Opportunities for Actuaries

Mon, 09 Jun 2025 13:07:58 +0000

Ireland is a premier European hub for fund administration and asset management, with €4 trillion in net assets, more than 19,500 direct full-time employees – 40% of whom are based outside Dublin – and over 400 companies driving the sector’s success. As the industry continues to expand, it presents exciting career prospects for actuaries. This session will provide an industry overview and explore how actuarial skills can be applied in this dynamic and evolving “wider” field.